Results 31 to 40 of about 178,829 (130)

Nested Archimedean Copulas Meet R: The nacopula Package

Journal of Statistical Software, 2011
ISSN:1548 ...
Hofert, Marius, Maechler, Martin
openaire   +3 more sources

Yield Variability and Harvest Failures in Russia, Ukraine and Kazakhstan and Their Possible Impact on Food Security in the Middle East and North Africa

Journal of Agricultural Economics, Volume 71, Issue 2, Page 493-516, June 2020., 2020
Abstract Exports from Russia, Ukraine and Kazakhstan (RUK) help to improve global wheat availability and, hence, global food security. During the past 15 years, however, RUK wheat exports have shown high variability, mainly because they have been repeatedly diminished by severe harvest failures.
Sergio René Araujo‐Enciso, Thomas Fellmann   +1 more
wiley   +1 more source

GENERALIZED NESTED COPULA REGRESSION TO UNVEIL THE IMPACT OF EXCHANGE RATES AND NIKKEI 225 ON BANK MANDIRI STOCK PRICE

Barekeng
Fluctuations in exchange rates and foreign stock indices strongly influence domestic stock performance, particularly in the banking sector, which is highly sensitive to global economic dynamics.
Alfi Khairiati, Retno Budiarti, Mohamad Khoirun Najib   +2 more
doaj   +1 more source

A Bivariate Copula–Driven Multi-State Model for Statistical Analysis in Medical Research

Mathematics
We develop and evaluate a copula-based multistate model for illness–death processes with dependent transition times. The framework couples Cox proportional hazards models for the marginal transition intensities with Archimedean copulas to capture ...
Hugo Brango, Roger Tovar-Falón, Guillermo Martínez-Flórez   +2 more
doaj   +1 more source

Permutation Tests Based on the Copula‐Graphic Estimator and Their Use for Survival Tree Construction

Statistics in Medicine, Volume 45, Issue 6-7, March 2026.
ABSTRACT Survival trees are popular alternatives to Cox or Aalen regression models that offer both modeling flexibility and graphical interpretability. This paper introduces a new algorithm for survival trees that relaxes the assumption of independent censoring. To this end, we use the copula‐graphic estimator to estimate survival functions.
Pauline Baur, Markus Pauly, Takeshi Emura   +2 more
wiley   +1 more source

Market Insurance and Risk Pooling in U.S. Crop Insurance

Agricultural Economics, Volume 57, Issue 2, March 2026.
ABSTRACT A common assumption is that multiple‐peril crop insurance markets suffer from market failures, thus justifying government intervention in the form of premium subsidies, operating allowances, and reinsurance agreements. One prominent rationale for intervention involves geographic correlation in agricultural production which leads to systemic ...
Fan Fan, Yong Liu, A. Ford Ramsey, David J. Leatham   +3 more
wiley   +1 more source

Bivariate Copula Model on Fitting Correlated Time‐to‐Event Outcomes: Age at First Sex and Age at First Marriage Among Youth in Tanzania

Journal of Probability and Statistics, Volume 2025, Issue 1, 2025.
Traditionally, age at first sex (AFS) and age at first marriage (AFM) have been analysed independently. While useful for summarising risk factors for each outcome individually, these approaches offer limited insight into the interdependence between these events.
Jacqueline Materu, Eveline T. Konje, Ties Boerma, Mark Urassa, Milly Marston, Jim Todd, Muhammad Ahsan   +6 more
wiley   +1 more source

Copulas in finance and insurance [PDF]

, 2008
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance.
Romera, Rosario, Molanes, Elisa M.
core   +1 more source

Predicting tail risks by a Markov switching MGARCH model with varying copula regimes

Journal of Forecasting, Volume 43, Issue 6, Page 2163-2186, September 2024.
Abstract To improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio risk forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS‐C‐MGARCH) model of Fülle and Herwartz (2022). As an empirical illustration, we take the perspective of a
Markus J. Fülle, Helmut Herwartz
wiley   +1 more source

PERHITUNGAN VALUE AT RISK PORTOFOLIO PADA FUNGSI ARCHIMEDEAN COPULA [PDF]

, 2021
Value at Risk (VaR) merupakan salah satu alat ukur yang digunakan untuk menghitung risiko pada portofolio. Akan tetapi VaR memiliki asumsi distribusi normalitas.
Lusia, Nona, Rizki, Setyo Wira, Satyahadewi, Neva   +2 more
core   +1 more source